Macroeconomic Tail Risks and Asset Prices

• 成果类型: Article
• 署名作者: Schreindorfer, David
• 署名单位: Arizona State University; Arizona State University-Tempe
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz105
• 发表日期: 2020
• 页码: 3541
• 关键词: GENERALIZED DISAPPOINTMENT AVERSION; long-run; rare disasters; temporal behavior; equity premium; cross-section; consumption; returns; GROWTH; MARKET

摘要

I document that dividend growth and returns on the aggregate U.S. stock market are more correlated with consumption growth in bad economic times. In a consumption-based asset pricing model with a generalized disappointment-averse investor and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model is consistent with the main facts about stock market risk premiums inferred from equity index options, remains tightly parameterized, and allows for analytical solutions for asset prices. An extension with non-IID dynamics accounts for excess volatility and return predictability, while preserving the model's consistency with option moments.